Information and Expectations in Macroeconomics

Content: This course provides an introduction to the literature on dispersed infromation in Macroeconomics. We will review the basic techniques of signal extraction in Gaussian environments. Then, we will apply them to Beauty Contest models to study how imperfect information can affect welfare. We will study a benchmark version of the Lucas' island model to demonstrate how dispersed signals can be microfounded as competitive prices. Finally we will use our framework of learning from prices to provide simple models of price rigidity, endogenous persistence and sentiments. (Slides available upon request).

I Basics

Gaussian Signal Extraction 

Measuring Information Acquisition 

Kalman Filter Logic

Endogenous Signals

II Learning from Prices and the Business Cycle

Beauty Contest and Welfare 

Endogenous Rigid Prices

Sentiments and Amplification

Forward Looking dynamics